Tevye's village is the main setting here, but you can't figure out much about it without knowing a little more about the major historical and political shifts happening way off in big cities like Moscow and St. Petersburg at the same time.
Let us count the ways in which life for Jews in the shtetl of the early 20th-century Russian Empire was not awesome:
First, Russia's government was under some major stress. Although Russia was still an absolute monarchy under a tsar, some hot-headed revolutionaries were really starting to get agitated about the whole autocratic thing.
Quick sidebar: "tsar" is just the Russian word for king, brought to us all the way from Latin's Caesar. (That makes more sense if we spell it the old-fashioned way: "czar.") A monarchy is a system of government where the king/tsar/emperor is in charge, and where that power is passed down a family line. And an absolute monarchy? That's when the king has all the power (he's autocratic). In other words, no parliament, no vice-king, no voting, no Supreme Court, nothing but that one dude on a throne calling all the shots.
Back to the brewing revolution. Freaking out that the power party was about to end, Nicholas II passed the Constitution of 1906, which established a parliament and said, okay, fine, you can all vote.
Of course, this still didn't do much for the people at the bottom of the Russian totem pole. At that bottom was the Jewish population of Russia. Oppressed by laws about where they could and couldn't live, professions they could and couldn't practice, and generally victimized through both official gub'mint ordered persecution as well as the ordinary off-the-books kind: good times all around.
Jews mostly lived in villages and town called shtetls, which had large Jewish populations. When the 1906 Constitution passed, a crazy wave of anti-Jewish violence followed. In a bunch of pogroms on Jewish communities, Russians killed Jews, burned down businesses and houses, and rained terror on that minority population.
Of course, the government was totally mad and stepped in right away to point out that it was totally uncivilized to do that sort of thing. Not! It was basically just happy that people weren't attacking something else. In fact, officials even encouraged anti-Semitic violence, because it kept the proles busy doing something other than plotting revolution.
Tevye makes a really big deal about being the best dairyman in Boiberik and Yehupetz. Check it out:
I sold out my merchandise completely, nothing at all was left even if my life depended on it. I was so busy, I had no time to chat with my summer customers, the Boiberik dacha owners, who wait for me as if I were the Messiah because the Yehupetz merchants' produce can't hold a candle to Tevye's. I needn't tell you, as the prophet said: Let other men praise thee—good products praise themselves. (3.4)
This whole deliveryman-to-the-stars act that he has makes it seem like these important people value him so much that they end up waiting for him, not vice versa. That level of excitement really sells us on the idea that where he lives is one thing, but where he sells his goods is totally different. You don't see Tevye bragging about how important he is in his village, after all. Who cares if everyone knows who you are in Buford, Wyoming?
The little village where Tevye and his family is so crazy small it doesn't ever even get a name. Yeah, yeah, we know, Fiddler on the Roof calls the place Anatevka—but if you read the text closely, you'll see that Anatevka is actually another little shtetl right nearby. Tevye's village is just home, so why would it need any other name?
On the other hand, there's Yehupetz, the nearby town where there is a university of some sort (since Perchik studies something there), a stock exchange office (since Menachem-Mendl and his fellow traders operate there), and a large population of wealthy Jews whom Tevye gets to know. We don't get too many physical descriptions of what the place looks like, but we certainly get a feeling that it's a bustling and busy kind of place.
And finally, there's Boiberik, the resort community where all the Yehupetz rich people have their dachas. (Don't freak out—dacha is just a Russian word for a summerhouse.) Basically, this is where Yehupetz big-wigs come on the weekends to unwind. You know, like Wall-Street hotshots heading to their mountain cabins to commune with nature, that sort of thing.
Here, the feeling is calmer and more chill. Although again, we don't really get any physical descriptions of the place itself, it seems to be the site of family get-togethers and celebrations more than business, like the big family vacation Tevye encounters when he delivers the two lost women in the second story.